Miroslava Quiroga-Trevino
Research project title
Essays on Sovereign Debt Holdings and Macro-Financial Linkages
Chapters PhD thesis
CHAPTER 1: Debt-Financed Fiscal Policy and Financial Exposure: A Balance Sheet Channel of Fiscal Policy
CHAPTER 2: Sovereign Debt Exposure in Europe: A Bayesian Panel-VAR analysis of Macro-Financial Linkages
CHAPTER 3: Public Large Sale Asset Purchases and Financial Stability
Job sought
Policy-oriented Research
Research in Progress
Public Large Sale Asset Purchases and Financial Stability: a DSGE Framework with Capital Regulation
Abstract: This paper develops a DSGE model calibrated for the European Union to analyze unconventional monetary measures in the form of Large-Scale Asset Purchases (LSAP) of government securities. Different channels of transmission to real activity are considered: (i) the effects of LSAP programs on asset prices and long-term yields (ii) pass through effects of public bond rates to credit rates and (iii) rebalancing of banks’ balance sheets to allow commercial banks to expand the credit supply and promote greater liquidity to the private sector. This work proposes a model that allows for the interaction of fiscal, monetary and macroprudential policies and suggests that unconventional monetary measures alleviate pressures on the banking sector that consequently incites credit provision. The results of the model show how the asset purchase program helps boost inflation and stimulate spending in the economy. By increasing demand of government securities, the central bank eases banks’ balance sheets, reducing the cost for financial intermediaries which further pass that into lower credit costs for private firms to incentivize their investment decisions. The model also features occasionally binding constraints to evaluate the role of LSAP in the presence of the Zero Lower Bound (ZLB) for short term rates, showing that the effects on the economy are amplified when the lower bound binds.
Debt-Financed Fiscal Policy and Financial Exposure: A Balance Sheet Channel of Fiscal Policy
Abstract: This paper develops an open economy dynamic stochastic general equilibrium (DSGE) model estimated with Bayesian techniques for the European periphery. I study the impact of sovereign leverage on credit markets and economic activity when banks are subject to minimum capital requirements. This work highlights that the financial sector’s exposure to domestic sovereign debt, propagates the effects of a debt-financed fiscal policy on the real business cycle through credit displacement and investment contraction, with higher effects during the Financial and European debt crisis.
Sovereign Debt Exposure in Europe: A Bayesian Panel-VAR analysis of Macro-Financial Linkages
Abstract: The paper studies the transmission channel of fiscal shocks on credit supply and capital formation for the six largest European Monetary Union (EMU-6) countries using a Structural Bayesian Panel Vector Autoregressor (SBPVAR). Results suggest that debt shocks increased the exposure of domestic financial institutions to sovereign debt and instigated credit displacement, leading to lower capital formation in European economies, where the effects appeared more pronounced for peripheral economies
Estimation of Regional Input-Output Matrices, with an application to Manufacturing Exports in Mexico. (Working paper Bank of Mexico with Chiquiar-Cikurel, D.; Torre, L. and Alvarado, J)